Search and poll method for solving multi-fidelity optimization problems

ABSTRACT

A computer-implemented search and poll method can iteratively solve a multi-fidelity optimization problem including an objective function and any constraints. A search step of the method includes constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, and running lower fidelity simulations in ascending order to reduce a number of trial points in the new set. The search step further includes evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.

BACKGROUND

In engineering design, an optimal design is often obtained by minimizing or maximizing an objective function (e.g., cost, weight, drag) subject to constraints (e.g., stress, geometry). In doing so, evaluation of the objective and constraint functions frequently involves running a simulation.

A high fidelity simulation may be performed to find a solution to such an optimization problem. However, calling a high fidelity aerodynamic simulation is computationally expensive. For instance, a high fidelity simulation involving the design of an airfoil can take several days to run.

Simulations with varying levels of lower fidelity may be available. Although the lower fidelity simulations are much faster to run (e.g., taking seconds versus days), they are less accurate than the high fidelity simulation.

An optimization method may be used to find a solution to an optimization problem. The optimization method systematically generates trial points that are evaluated by the objective and constraint functions, which, in turn, call the high fidelity simulation. For many optimization methods, a mathematical convergence theory has been developed to establish conditions (e.g., requiring the objective and constraint functions to be smooth and continuous) under which a sequence of trial points achieve convergence to a solution.

A search and poll method is an efficient way to find a solution to a class of optimization problems in which derivatives (either analytical or numerical) are unavailable or unreliable, and objective and constraint functions are non-smooth or discontinuous or fail when queried. Search and poll methods have been applied effectively to this class. of optimization problems with two fidelity levels. Above two fidelity levels, however, complexity and computational cost are increased, and solution methods are scarce.

SUMMARY

According to an embodiment herein, a computer-implemented search and poll method can iteratively solve a multi-fidelity optimization problem including an objective function and any constraints. A search step of the method includes constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, and running lower fidelity simulations in ascending order to reduce a number of trial points in the new set. The search step further includes evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.

According to another embodiment herein, a computer comprises a processor and memory encoded with data for causing the processor to perform a search and poll method to iteratively solve a multi-fidelity optimization problem including an objective function and any constraints. A search step of the method includes constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, running lower fidelity simulations in ascending order to reduce a number of trial points in the new set, and evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.

According to another embodiment herein, an article comprises computer-readable memory encoded with data. The data, when executed, causes a computer to perform a search and poll method to iteratively solve a multi-fidelity optimization problem including an objective function and any constraints. A search step of the method includes constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, running lower fidelity simulations in ascending order to reduce a number of trial points in the new set, and evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.

These features and functions may be achieved independently in various embodiments or may be combined in other embodiments. Further details of the embodiments can be seen with reference to the following description and drawings.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is an illustration of a search step for a search and poll optimization method.

FIG. 2 is an illustration of a search and poll optimization method including the search step of FIG. 1.

FIG. 3 is an illustration of a system for performing a search and poll optimization method.

DETAILED DESCRIPTION

Consider an optimization problem in which derivatives (either analytical or numeric-al) are unavailable or unreliable, and objective and constraint functions may be non-smooth or discontinuous, or may fail when queried. The optimization problem involves minimizing the objective function subject to nonlinear constraints that are formulated as being less than or equal to zero.

A search and poll method may be used to solve the optimization problem. The search and poll method is a generalization of the convergent class of mesh adaptive direct search (MADS) methods. MADS is iterative in that, at each iteration, it generates a finite number of trial points in the hope of finding a better trial point than the current best point or incumbent solution. Specifically, the search and poll method is used to iteratively generate trial points having either a lower objective function value or a lower constraint violation (as defined by the sum of squares of the constraint violations). For a detailed discussion of MADS methods, see C, Audet and J. E. Dennis, Jr., “A progressive barrier for derivative-free nonlinear programming,” SIAM Journal on Optimization, vol. 20, no. 1, pp. 445-72 (2009).

Reference is made to FIG. 1, which illustrates a search step for a search and poll method. At block 110, surrogates of the objective function and any constraints are constructed (e.g., built, updated, recalibrated) and optimized to identify a new set of trial points. The surrogates are only approximations, and they do not always capture the behavior of the objective function and any constraints.

At block 120, lower fidelity simulations are run in ascending order to reduce the number of trial points in the new set. If there are M levels of fidelity, with M being the highest level, then the lower fidelity simulations are run in ascending order from m=1, 2, 3, . . . , M−1. Those trial points predicted to perform poorly by the lower fidelity simulations are deleted.

At block 130, the reduced number of trial points is then evaluated by the objective function and any constraints with a high fidelity simulation. The high fidelity simulation is run only once per search step.

By reducing the computational load required to solve problems of this type, the search step of FIG. 1 runs faster and more efficiently than a search step of a conventional search and poll method. Computational cost is kept down by progressing through the lower fidelity levels in ascending order (m=1, 2, 3, . . . , M) and discarding trial points that are not predicted to do well when evaluated by higher fidelity models. An increase in computational speed comes from not having to evaluate all of the points in the initial set with the objective function and any constraints using the highest level of fidelity.

Construction of the surrogates at block 110 may include constructing surrogates for the objective function and any constraints as functions of the input variables and also fidelity level. Thus, the surrogates are constructed as mixed variable surrogate functions. Let f(m,x) represent the objective function, and c(m,x) represent constraints on the set of input variables x, where m is the fidelity level from m=1, 2, . . . M. The surrogate functions may be represented by φ(m, x) and ζ(m, x). The surrogate function φ(m, x) is the surrogate of the true objective function f(m,x), and the surrogate function ζ(m, x) is the surrogate of the true constraints c(m,x). The objective function f(m,x) and the constraints c(m,x) are also mixed variable because they incorporate the fidelity level as an additional variable, with each value resulting in a different fidelity simulation being used in the function evaluations.

Kriging functions may be used as the mixed variable surrogate functions. For information on how to use kriging functions to construct mixed variable surrogate functions, see, e.g., P. Z. G. Qian, et al., “Gaussian process models for computer experiments with qualitative and quantitative factors,” Technometrics, 50(3):383-396, 2008; and Q. Zhou et al., “A simple approach to emulation for computer models with qualitative and quantitative factors,” Technometrics, 53(3):266-273, 2011.

The use of mixed variable kriging functions as surrogate functions avoids explicitly modeling the differences between simulations of different fidelities. Each kriging function includes a regression function (for capturing the general trend), plus a correlation term to capture the difference between the regression and the points being fit, so that the resulting surrogate function interpolates all of the data points (i.e., at the data points, the objective function and any constraints, and their surrogates have the same value). The correlation term is represented by a large matrix that increases in size each time an evaluated trial point is incorporated into the kriging functions.

Traditional kriging functions (that is, kriging functions that are not mixed variable) may be used. However, the regression function and correlation matrix are constructed for each level of fidelity.

An advantage of the mixed variable kriging functions is that a single regression function and a large correlation matrix may be constructed to take as inputs both the problem variables and the fidelity level. The resulting correlation matrix is a little larger (to handle the additional variable), but only one correlation matrix is needed. Above two fidelity levels, the increase in complexity and computational cost is relatively small in comparison to explicitly modeling the differences between simulations of different fidelities.

The surrogate functions may be constructed from other types of functions. Other types include least degree polynomials and radial basis functions.

Optimization of the surrogates at block 110 may include minimizing the surrogate objective function subject to the surrogate constraints to generate a new set of points. The surrogate functions are much less expensive to evaluate than the objective function and any constraints at the highest fidelity level. The surrogate functions may even be less expensive to evaluate than the objective function and constraints at low levels of fidelity. Thus, the role of the surrogates is to inexpensively generate the trial points in the new set that are very close to the solution of the optimization problem, but at a fraction of the computational cost.

The surrogate functions are interpolatory, meaning that they fit all of the data points that have been evaluated. Whenever new points are generated and then evaluated by the functions at any fidelity level, the surrogates may be updated or recalibrated to include the newly evaluated points. Thus, when a surrogate function is updated, the updated surrogate function retains both good and bad trial points. No trial points are discarded from the surrogate functions unless a requested function evaluation fails to return a value. The set of trial points is only narrowed by the remainder of the search step.

Use of the lower fidelity simulations at block 120 is performed to determine whether the trial points in the new set are good or bad. Bad points are pared from the new set of trial points. Thus, at each iteration, the lower fidelity simulations are used as predictors to reduce the number of trial points in the new set. If the surrogates provide good approximations of the objective function and any constraints, then they have some predictive power.

The low fidelity simulations are usually simplified physics models of the high fidelity simulations. As one simple example, a high fidelity simulation describes three-dimensional flow of air over an airfoil, a lower fidelity simulation describes two-dimensional flow, and the lowest fidelity simulation describes one-dimensional flow.

Reference is now made to FIG. 2, which illustrates a search and poll method that includes the search step of FIG. 1. At block 210, a preliminary set V₀ of points is generated. The preliminary set V₀ may be obtained by a carefully constructed “design of experiments”, so that the initial models are as accurate as possible. Each point in the preliminary set V_(o) is evaluated by the objective function and any constraints, which call the high fidelity simulation, yielding the preliminary set V₀ of evaluated trial points.

Also at block 210, the surrogates of the objective function and any constraints are constructed. The surrogates may be constructed from the preliminary set V₀ of trial points.

At block 220, an outer loop is initialized. An outer loop index k is set to k=0.

At block 230, a search step is performed.

-   -   a. Update the surrogates from V_(k) and solve the surrogate         optimization problem at m=M to identify a new set S_(k) of trial         points.     -   b. For m=1, 2, . . . , M−1         -   i. If S_(k) is empty, go to block 240.         -   ii. Evaluate f(m,x) and c(m,x) at points x ∈ S_(k) and             update the surrogates.         -   iii. Evaluate φ(M, x) and ζ(M, x) at points x ∈ S_(k).         -   iv. Remove trial points from S_(k) for which φ and ζ do not             predict a high likelihood of a successful iteration.     -   c. Evaluate f(M,x) and c(M,x) at points x ∈ S_(k). Update the         surrogates.

At block 240, a poll step is performed if the search step is unsuccessful (e.g., the search step yields an empty set for S_(k), or doesn't improve upon the incumbent solution). In the poll step, the objective function and any constraints are evaluated (using the highest level of fidelity) for a different set P_(K) of trial points (e.g., a set of trial points that is adjacent to the current best iterate on an underlying mesh). The objective function f(M,x) and constraint c(M,x) are evaluated at the trial points in set P_(k).

At block 250, an update is performed. For instance, mesh size and barrier parameter are updated. The surrogate solution is mapped to its nearest mesh point. If the search step is unsuccessful, the poll step may reduce the mesh size. If the search step is successful, the mesh size may instead be increased.

Also at block 250, the set V_(k) of all points evaluated thus far is updated by adding all trial points in S_(k) and only evaluated trial points in set P_(k). The surrogates are also updated based on the points in V_(k+1).

At block 260, a termination criteria for the outer loop is tested. For instance, the method terminates when the mesh size is sufficiently small. If the termination criteria is not met, then the outer loop index is incremented (block 270), and control is returned to block 230, where another search step is performed.

If the termination criteria is satisfied, the search and poll method is finished. The output is a local numerical solution to the original, expensive optimization problem.

Thus disclosed is a search and poll method in which the fidelity level is an optimization variable used in the search. The requirement that the extra variable be equal to that of the highest fidelity simulation is formulated as a constraint, so that the fidelity level will be at the highest level at the solution, but can be relaxed during the optimization process to mitigate the computational burden.

A method herein is not limited to constrained optimization problems. Constraints are not required, but constrained optimization problems are generally harder to solve and, therefore, would benefit more significantly from a method herein.

Solving an optimization problem is not limited to minimizing the objective function and any constraints. For instance, the objective function (subject to any constraints) may be maximized by minimizing the negative of the objective function. Constraints are not limited to being less than or equal to zero.

Reference is now made to FIG. 3, which illustrates a computer system 310 for performing a search and poll method herein. The computer system 310 includes a processing unit 320 and computer-readable memory 330 encoded with data 340 that, when executed, causes the processing unit 320 to perform a search and poll method herein.

Consider the following example of designing structural components (e.g., ribs, spars, skin) of an aircraft wing. The objective function is typically weight of the wing. Design variables may include thicknesses, lengths, widths, and cross-sectional areas of individual structural components of the wing. It is desired to minimize the weight, subject to safety margin constraints on stress, displacement, buckling, etc. Constraints also include minimum thickness (lower bound) constraints on each component. The weight may be inexpensive to compute, since weight is the product of volume and density, the density of each material is known, and volume may be computed directly from the geometry of the structural components. However, the safety margin constraints require calling a structural analysis code, which is often computationally expensive to run.

The optimization method may start out with a guess—a preliminary design specifying the component sizes (i.e., the variables)—or with multiple guesses. The structural analysis code is then run to provide enough information (e.g., volumes, stresses, and displacements) to evaluate the objective and constraint functions.

The search and poll method is then used to provide a set of designs (reduced number of trial points). This provides new objective and constraint function values. The search and poll method is repeated until some termination condition is reached. The reduced number of trial points is then evaluated with the objective function and any constraints by running a high fidelity simulation.

Consider another example involving three-dimensional flow of air over an airfoil. A high fidelity simulation may be a Navier-Stokes solver with Reynolds-averaged turbulence. A mid-fidelity simulation may be an Euler or full potential solver. A low fidelity simulation may be a linearized potential flow. The objective function minimizes drag or maximize lift or lift-to-drag ratio. Constraints may include simple functions that prevent nonsensical geometries, such as a wing in a bowtie configuration.

An initial experimental design may produce the initial set V₀ of trial points, which may include points at all three fidelities (that is, a sample of evaluated points using all three simulations). An initial kriging model is constructed from this set V₀ of evaluated points.

The kriging model is optimized, perhaps by choosing multiple random starting points and running local optimizations from each starting point, thereby returning very promising new trial points because they are surrogate optimizers. These trial points are evaluated by the simulations in fidelity order, lowest to highest (i.e., linearized potential flow solver, then Euler, then Navier-Stokes), while at each step, removing those points performing poorly with respect to the objective function and constraints of the simulation at that level of fidelity. Each trial point that is evaluated by any simulation is added to the set S_(k) of evaluated points and incorporated into the surrogates for the next iteration. If the search step fails to produce a non-dominated point with respect to the highest level of fidelity, the poll step is performed, whereby adjacent points are evaluated with the Navier-Stokes solver. 

1. A computer-implemented search and poll method for iteratively solving a multi-fidelity optimization problem including an objective function and any constraints, wherein a search step of the method includes: constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, running lower fidelity simulations in ascending order to reduce a number of trial points in the new set; and evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.
 2. The method of claim 1, wherein at least two lower fidelity simulations are run.
 3. The method of claim 1, wherein those trial points predicted to perform poorly by the lower fidelity simulations are removed from the new set.
 4. The method of claim 1, wherein the optimization problem includes the objective function and nonlinear constraints; wherein the surrogates of the objective function and the nonlinear constraints are optimized; and wherein the reduced number of trial points is evaluated with the objective function and the nonlinear constraints.
 5. The method of claim 1, wherein the optimization problem has derivatives that are unavailable or unreliable, and the objective function and any constraints are non-smooth or discontinuous or fail when queried.
 6. The method of claim 1, wherein the surrogates are constructed as functions of input variables and fidelity level, whereby the surrogates are constructed as mixed variable surrogate functions.
 7. The method of claim 1, wherein kriging functions are used as the surrogates, each kriging function including a single regression function and at least one correlation matrix.
 8. The method of claim 7, wherein the kriging functions are mixed variable such that each kriging function has a single regression function and a single correlation matrix that take as inputs both the fidelity level and variables of the optimization problem.
 9. The method of claim 1, wherein running the lower fidelity simulations includes looping through fidelity levels m=1 to M−1 in ascending order, where level M is the highest fidelity level, wherein for each iteration, the objective function and any constraints are evaluated at points x ∈ Sk at fidelity level m and the surrogate functions are updated; the surrogates are evaluated at points x ∈ Sk at fidelity level M; and the trial points from Sk are removed for which the surrogates do not predict a high likelihood of a successful iteration.
 10. The method of claim 9, wherein each iteration further includes performing a poll step if the search step is unsuccessful.
 11. The method of claim 1, wherein the objective function and any constraints model three-dimensional flow of air over an airfoil.
 12. A computer comprising a processor and memory encoded with data for causing the processor to perform a search and poll method to iteratively solve a multi-fidelity optimization problem including an objective function and any constraints, wherein a search step of the method includes: constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, running lower fidelity simulations in ascending order to reduce a number of trial points in the new set; and evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.
 13. The computer of claim 12, wherein the optimization problem includes the objective function and nonlinear constraints.
 14. The computer of claim 13, wherein the surrogates are mixed variable kriging functions.
 15. The computer of claim 12, wherein at least two lower fidelity simulations are run per search step.
 16. The computer of claim 12, wherein running the lower fidelity simulations includes looping through fidelity levels m=1 to M−1 in ascending order, where level M is the highest fidelity level, wherein for each iteration and S_(k) is the new set of trial points, the objective function and any constraints are evaluated at points x ∈ S_(k) at fidelity level m and the surrogate functions are updated; the surrogates are evaluated at points x ∈ Sk at fidelity level M; and the trial points from S_(k) are removed for which the surrogates do not predict a high likelihood of a successful iteration.
 17. An article comprising computer-readable memory encoded with data that, when executed, causes a computer to perform a search and poll method to iteratively solve a multi-fidelity optimization problem including an objective function and any constraints, wherein a search step of the method includes: constructing and optimizing surrogates of the objective function and any constraints to identify a new set of trial points, running lower fidelity simulations in ascending order to reduce a number of trial points in the new set; and evaluating the reduced number of trial points with the objective function and any constraints using a high fidelity simulation.
 18. The article of claim 17, wherein at least two lower fidelity simulations are run per search step.
 19. The article of claim 17, wherein the surrogates are mixed variable kriging functions, each kriging function including a single regression function and a single correlation matrix that take as inputs both the fidelity level and variables of the optimization problem.
 20. The article of claim 17, wherein running the lower fidelity simulations includes looping through fidelity levels m=1 to M−1 in ascending order, where level M is the highest fidelity level, wherein for each iteration and S_(k) is the new set of trial points, the objective function and any constraints are evaluated at points x ∈ S_(k) at fidelity level m and the surrogate functions are updated; the surrogates are evaluated at points x ∈ Sk at fidelity level M; and the trial points from S_(k) are removed for which the surrogates do not predict a high likelihood of a successful iteration. 